The Study of Mean-Variance Spanning Under the Framework of the HJ SDF

The mean-variance spanning under the framework of HJ SDF with the help of two fund separation theorem is studied. Firstly properties of the HJ SDF are revealed, some useful conclusions are obtained. Then by the HJ SDF's properties and the two fund separation theorem, the mean-variance spanning is investigated and the spanning condition is gotten. It is proved by the mathematical method that the spanning condition gotten from the HJ SDF is equivalent to the spanning condition gotten from the other methods.